Gecko-based (Firefox, Seamonkey, Mozilla, Netscape 6.x/7.x, ...)
Right-click the hyperlink and choose "Save Link Target As..." from pop-up menu.
Also you can hold down <SHIFT> key and to press left mouse button over hyperlink.

Konqueror
Right-click the hyperlink and choose "Save Link As..." from pop-up menu.
Also you can hold down <SHIFT> key and press left mouse button over hyperlink.
Note when you press left mouse button over hyperlink some old Konqueror versions
may ask question instead to instead to open a text viewer :-/.

Internet Explorer
Right-click the hyperlink and choose "Save Target As..." from pop-up menu.
Also you may hold down <CTRL> or <SHIFT> key ( note that IE behaviour is UNPREDICTABLE :-) and to press left mouse button over hyperlink.
Also note when you use external "download manager" behaviour can be different.